利率政策对资产价格的时变影响机制——基于TVP-VAR模型的实证研究

发布时间：2018-02-13 03:15

  本文关键词： 利率政策 资产价格 利率 宏观因子 TVP-VAR模型　出处：《学习与探索》2017年02期 　论文类型：期刊论文

【摘要】：随着中国对外开放程度的不断加深,资本市场的发展也明显加速,因此有必要对资本市场采取适当的宏观调控手段。通过从57组宏观经济序列中提取出宏观因子,随后采用TVP-VAR模型探究利率和宏观因子对资产价格的时变影响机制,结果表明:资产价格与名义利率之间具有稳定的负相关关系,并且这种负向依存机制会随着资本市场有效性的提升而增强,说明适当的利率政策疏导能够对资产价格起到良好的修正作用。然而,宏观因子对资产价格的影响却存在明显的非对称性特征,其中,当资产价格处于繁荣期时,市场更易于放大其对资产价格的牵拉作用;而当资产价格处于回落阶段时,宏观因子的作用将大幅削弱。因此,在当前系统性金融风险与经济紧缩风险并存的复杂局面下,经济景气变动对资产价格的影响相对有限,而采取适当的利率政策疏导不失为经济"新常态"时期货币当局的又一有益选择。
[Abstract]:With the deepening of China's opening to the outside world, the development of the capital market also accelerates obviously. Therefore, it is necessary to take appropriate macro-control measures to the capital market. Then TVP-VAR model is used to explore the time-varying influence mechanism of interest rate and macro factor on asset price. The results show that there is a stable negative correlation between asset price and nominal interest rate. Moreover, the negative dependency mechanism will increase with the improvement of the efficiency of capital market, which indicates that appropriate interest rate policy can improve the asset price. However, However, the influence of macro factors on asset prices has obvious asymmetrical characteristics. When asset prices are in a boom period, the market is more likely to amplify its pull on asset prices, while when asset prices are in a falling phase, The role of macro factors will be greatly weakened. Therefore, in the current complex situation where systemic financial risk and economic contraction risk coexist, the impact of economic boom changes on asset prices is relatively limited. Adopting appropriate interest rate policy is another beneficial choice for monetary authorities in the new normal period.
【作者单位】： 吉林大学商学院;
【基金】：国家社会科学基金重点项目“中国经济发展新常态的形成机理、趋势性特征及经济政策取向研究”(15AZD&001)
【分类号】：F822.0
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本文编号：1507199